116 lines
4.9 KiB
C#
116 lines
4.9 KiB
C#
using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Library.Common.Interfaces;
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using Qdp.Pricing.Library.Options.MonteCarlo;
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using Qdp.Pricing.Library.Options.Products.Asian;
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using Qdp.Pricing.Library.Options.Products.Asian.Engines.Analytical;
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using Qdp.Pricing.Library.Options.Products.Asian.Engines.Numerical;
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namespace YLErp.BLL.Calculation.Engine
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{
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class AsianEngineFactory : OptionEngineFactoryBase
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{
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public static AsianEngineFactory Instance
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{
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get
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{
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if (_instance == null)
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{
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_instance = new AsianEngineFactory();
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}
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return _instance;
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}
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}
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protected AsianEngineFactory() { }
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protected static AsianEngineFactory _instance;
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/// <summary>
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///
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/// </summary>
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/// <param name="engineName"></param>
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/// <param name="exercise"></param>
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/// <param name="additionalParams">应该传入AverageType的值和AsianOption对象</param>
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/// <returns></returns>
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public override IEngine GetEngine(string engineName = null, OptionExercise exercise = OptionExercise.European, params object[] additionalParams)
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{
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if (string.IsNullOrWhiteSpace(engineName))
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{
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return DefaultEngine(exercise, additionalParams);
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}
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else
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{
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switch (engineName.ToUpper())
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{
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case "ANALYTICALASIANOPTIONENGINE":
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return new AnalyticalAsianOptionEngine();
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case "BINOMIALTREEAMERICANASIANENGINE":
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return new BinomialTreeAmericanAsianEngine();
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case "GENERICMONTECARLOENGINE":
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return CreateGenericMonteCarloEngine(additionalParams);
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case "GBMMONTECARLOENGINE":
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return new GbmMonteCarloEngine(100000, 1e-3, 1e-6, 1);
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case "ANALYTICALENHANCEDASIANOPTIONENGINE":
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AsianOption asianOption = null;
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if (additionalParams != null && additionalParams.Length > 1)
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{
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asianOption = additionalParams[1] as AsianOption;
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}
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if (asianOption == null)
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{
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throw new Exception($"增强亚式期权计算引擎需传入期权对象.");
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}
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return new AnalyticalEnhancedAsianOptionEngine(asianOption);
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default:
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if (engineName.IsValidEngineName())
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{
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return OptionEngineRepository.CreateEngine(engineName);
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}
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else
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{
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return DefaultEngine(exercise);
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}
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}
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}
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}
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private static IEngine DefaultEngine(OptionExercise exercise, params object[] additionalParams)
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{
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if (additionalParams.Length > 2)
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{
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if ((string)additionalParams[2] == "Segmented")
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{
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return new GenericMonteCarloEngine(PS.Config.ErpElement.QdpParallelDegree, 50000, useConstRate: true, useConstVol: true);
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}
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}
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if (additionalParams.Length > 1)
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{
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if ((string)additionalParams[0] == "EnhancedArithmeticAverage" && additionalParams[1] is AsianOption asianOption)
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{
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if (Math.Abs(asianOption.EnhancedPrice - asianOption.Strike) > 1e-8)
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{
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// 如果增强亚式 行权价格和增强价格一致，则只能使用蒙特卡洛引擎，解析解计算不准确
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return new GbmMonteCarloEngine(100000, 1e-3, 1e-6, 1);
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}
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return new AnalyticalEnhancedAsianOptionEngine((AsianOption)additionalParams[1]);
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}
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}
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switch (exercise)
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{
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case OptionExercise.European:
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return string.IsNullOrWhiteSpace(OptionEngineRepository.AsianEuropeanDefaultEngine)
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? new AnalyticalAsianOptionEngine()
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: OptionEngineRepository.CreateEngine(OptionEngineRepository.AsianEuropeanDefaultEngine);
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case OptionExercise.American:
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return string.IsNullOrWhiteSpace(OptionEngineRepository.AsianAmericanDefaultEngine)
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? new BinomialTreeAmericanAsianEngine()
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: OptionEngineRepository.CreateEngine(OptionEngineRepository.AsianAmericanDefaultEngine);
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default:
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throw new Exception($"亚式期权不支持的行权方式{exercise}.无法创建计算引擎");
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}
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}
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}
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}
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